GMM with more moment conditions than observations

被引：3
|
作者：
Satchachai, Panutat [1 ]
Schmidt, Peter [1 ]
机构：
[1] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA
来源：
ECONOMICS LETTERS | 2008年 / 99卷 / 02期
关键词：
GMM; generalized method of moments; generalized inverse;
D O I：
10.1016/j.econlet.2007.06.036
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
When there are more moment conditions than observations, the usual GMM weighting matrix is singular. We show that using the generalized inverse is not a good idea. With continuous updating, the criterion function equals one for every parameter value. (C) 2007 Elsevier B.V. All rights reserved.
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页码：252 / 255
页数：4
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